DUG Options History — September 2011

In September 2011, DUG traded between $2508.80 and $3197.60. ATM implied volatility averaged 80.1%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 0.7% (HV 20d: 79.3%). Max pain ranged from $2400.00 to $2640.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-09-26: Highest Volume — 22 contracts
  • 2011-09-22: Largest IV spike — 26.1% change
  • 2011-09-30: Highest IV Rank — 69.1%
  • 2011-09-30: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2769.26$2508.80$3197.60$2520.80$3160.80
Max Pain$2441.90$2400.00$2640.00$2640.00$2560.00
ATM IV80.1%66.7%95.5%69.8%95.5%
Expected Move22.8%19.1%27.4%20.0%27.4%
HV 20d79.3%63.7%108.4%106.9%77.5%
HV 60d78.4%75.0%83.0%75.0%83.0%
IV Rank53.1%39.3%69.1%42.5%69.1%
IV Percentile94.9%89.7%99.2%94.4%99.2%
Term Structure-0.5%-13.4%9.8%0.6%-4.5%
VWIV82.2%68.0%95.4%71.5%95.4%
Skew 25d-22.0%-30.9%-13.2%-13.2%-20.1%
Skew 10d-30.4%-39.6%13.5%13.5%-21.9%
Call IV 25d94.5%77.1%109.0%77.1%106.9%
Put IV 25d72.6%61.5%86.8%63.9%86.8%
Bid-Ask Spread %50.0330.8980.2180.2154.50
Gamma HHI0.080.070.140.080.08
Net GEX131.9K39.1K184.3K109.6K142.2K
Net DEX-10.3M-18.2M-3.1M-4.4M-17.2M
Net VEX-45.6K-53.6K-38.9K-50.3K-47.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.062.560.210.48
Total Volume8.1932263
Total OI171.381128204187158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$2520.80$2640.0069.8%20.0%106.9%42.5%71.5%-13.2%0.6%109.6K-4.4M-50.3K0.2180.21N/AN/A5111572
2011-09-02$2649.60$2640.0075.7%21.7%108.4%48.6%72.7%-19.3%-2.7%168.8K-9.2M-53.6K0.8566.74N/AN/A5511872
2011-09-06$2712.00$2400.0085.0%22.7%92.7%58.2%77.5%-26.9%-4.6%174.7K-11.3M-52.2K0.3952.20N/AN/A6211975
2011-09-07$2508.80$2400.0070.7%20.2%90.2%43.4%68.0%-23.3%-1.2%111.8K-5.2M-47.3K0.1730.89N/AN/A3111976
2011-09-08$2566.40$2400.0072.8%21.0%86.6%45.6%85.0%-23.2%4.7%119.3K-5.7M-46.7K0.1540.75N/AN/A4111976
2011-09-09$2733.60$2400.0085.5%23.1%81.7%58.7%88.6%-22.8%-9.0%184.3K-10.9M-50.4K0.1631.99N/AN/A5112176
2011-09-12$2704.00$2400.0088.8%23.0%81.6%62.2%82.4%-27.7%-1.4%180.9K-11.4M-46.1K2.0551.83N/AN/A2412076
2011-09-13$2683.20$2400.0081.3%23.1%77.2%54.3%80.4%-23.8%-13.4%157.0K-9.5M-45.5K0.2033.26N/AN/A8212078
2011-09-14$2611.20$2400.0071.0%22.3%77.1%43.7%86.4%-21.9%-7.8%84.2K-6.3M-41.7K0.4445.53N/AN/A6311778
2011-09-15$2508.80$2400.0070.3%20.2%78.4%43.0%80.5%-21.3%-2.9%39.1K-3.4M-41.9K0.1938.19N/AN/A6112178
2011-09-16$2514.40$2400.0066.7%19.1%67.2%39.3%78.9%-19.9%8.0%151.0K-3.1M-41.0K0.4548.57N/AN/A4212579
2011-09-19$2588.00$2400.0068.3%19.6%66.4%41.0%74.6%-20.0%1.7%81.5K-6.7M-39.7K0.1353.32N/AN/A717949
2011-09-20$2623.20$2400.0068.7%19.7%66.4%41.3%68.8%-21.7%5.2%90.2K-6.9M-38.9K0.0652.68N/AN/A918150
2011-09-21$2830.40$2400.0075.5%21.7%63.7%48.4%75.5%-17.4%2.6%133.1K-11.4M-40.7K0.3457.68N/AN/A628750
2011-09-22$3138.40$2400.0095.2%27.3%72.9%68.8%93.6%-16.9%-3.8%145.4K-17.5M-43.8K0.4864.12N/AN/A638951
2011-09-23$3197.60$2400.0092.6%26.5%71.8%66.1%87.5%-20.1%-0.9%159.5K-18.2M-44.5K2.5651.27N/AN/A5129152
2011-09-26$2970.40$2400.0086.9%24.9%75.6%60.2%89.6%-30.9%9.8%132.2K-15.0M-44.6K0.9633.68N/AN/A11119255
2011-09-27$2880.80$2480.0083.3%23.9%72.8%56.4%87.4%-22.1%4.0%128.1K-11.9M-47.8K0.6054.43N/AN/A649559
2011-09-28$3064.00$2480.0090.5%25.9%75.1%63.9%95.0%-22.9%-0.7%140.5K-15.5M-46.7K0.2853.78N/AN/A419659
2011-09-29$2988.00$2480.0087.5%25.1%75.7%60.8%86.2%-25.7%6.1%136.3K-14.7M-47.8K0.5055.05N/AN/A219660
2011-09-30$3160.80$2560.0095.5%27.4%77.5%69.1%95.4%-20.1%-4.5%142.2K-17.2M-47.0K0.4854.50N/AN/A219761